A time-varying multivariate noncentral contaminated normal copula model and its application to the visualized dependence analysis of Hong Kong stock markets (Q2213441): Difference between revisions

Summary: Financial data usually have the features of complexity and interdependence structure, such as asymmetric, tail, and time-varying dependence. This study constructs a new multivariate skewed fat-tailed copula, namely, noncentral contaminated normal (NCCN) copula, to analyze the dependent structure of financial market data. The dynamic conditional correlation (DCC) model is also incorporated into constructing the time-varying NCCN copula model. This study comprehensively examines the effects of the DCC-NCCN copula and related models on fitting dependence structures of Hong Kong stock markets. The results show that the DCC-NCCN copula model can better depict the dependence structures of returns. Considering the flexibility and complexity, the DCC-NCCN copula model is a relatively ideal, time-varying, multivariate skewed fat-tailed copula model.